Expected Loss to be Paid (Recovered) (Tables)

3 Months Ended

Mar. 31, 2026

Net Expected Loss to be Paid By Accounting Model

Net Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit)

by Accounting Model


	Net Expected Loss to be Paid (Recovered)					Net Economic Loss Development (Benefit)
	As of				First Quarter
Accounting Model	March 31, 2026		December 31, 2025				2026		2025
	(in millions)
FG insurance (see Note 6)	$	129	$	88			$	44	$	48
FG VIEs (see Note 10)	12		13				—		—
Credit derivatives (see Note 8)	—		—				—		(63)
Total	$	141	$	101			$	44	$	(15)

Net Expected Loss to be Paid After Net Expected Recoveries for Breaches of R&W Roll Forward

The following tables present a roll forward of net expected loss to be paid (recovered) for all contracts, which are accounted for under one of the following accounting models: FG insurance, credit derivative or FG VIE. The Company used risk-free rates for U.S. and non-U.S. currencies that ranged from 1.93% to 5.68% with a weighted average of 4.16% as of March 31, 2026 and 1.93% to 5.35% with a weighted average of 3.92% as of December 31, 2025.

Net Expected Loss to be Paid (Recovered)

Roll Forward


		First Quarter
			2026		2025
	(in millions)
Net expected loss to be paid (recovered), beginning of period			$	101	$	106
Economic loss development (benefit) due to:
Accretion of discount			2		1
Changes in discount rates			(4)		5
Changes in timing and assumptions			46		(21)
Total economic loss development (benefit) (1)			44		(15)
Net (paid) recovered losses (1)			(4)		59
Net expected loss to be paid (recovered), end of period			$	141	$	150

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(1) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 8. Derivatives, for additional information.

Net Expected Loss to be Paid (Recovered)

Roll Forward by Sector


	First Quarter 2026
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2025		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of March 31, 2026
	(in millions)
Public finance:
U.S. public finance	$	(31)	$	45	$	(11)	$	3
Non-U.S. public finance	126		2		—		128
Public finance	95		47		(11)		131
Structured finance:
U.S. RMBS	(54)		(2)		8		(48)
Other structured finance	60		(1)		(1)		58
Structured finance	6		(3)		7		10
Total	$	101	$	44	$	(4)	$	141


	First Quarter 2025
Sector	Net Expected Loss to be Paid (Recovered) as of December 31, 2024		Net Economic Loss Development (Benefit)		Net (Paid) Recovered Losses (1)		Net Expected Loss to be Paid (Recovered) as of March 31, 2025
	(in millions)
Public finance:
U.S. public finance	$	18	$	29	$	(12)	$	35
Non-U.S. public finance	98		24		—		122
Public finance	116		53		(12)		157
Structured finance:
U.S. RMBS	(43)		(3)		9		(37)
Other structured finance (2)	33		(65)		62		30
Structured finance	(10)		(68)		71		(7)
Total	$	106	$	(15)	$	59	$	150

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(1) Amounts are net of ceded paid losses, whether or not such amounts have been settled with reinsurers. Ceded paid losses are typically settled 45 days after the end of the reporting period. Such amounts are recorded as reinsurance recoverable on paid losses in “other assets.”

(2) First quarter 2025 amounts include recoveries recognized in connection with the resolution of the LBIE litigation. See Note 8. Derivatives, for additional information. Includes cash proceeds for recoveries related to amounts previously paid.

Schedule Of Net Expected Losses To Be Paid (Recovered) And Net Economic Development (Benefit) Loss

Expected Loss to be Paid (Recovered) and Net Economic Loss Development (Benefit)

U.S. RMBS


	Net Expected Loss to be Paid (Recovered)												Economic Loss Development (Benefit)
	March 31,						December 31,							First Quarter
	2026						2025							2026		2025
	(dollars in millions)
First lien U.S. RMBS	$	92					$	90						$	—	$	2
Second lien U.S. RMBS	(140)						(144)							(2)		(5)
Total U.S. RMBS	$	(48)					$	(54)						$	(2)	$	(3)

Impact of changes in discount rates														$	—	$	1

Range of discount rates	3.63		%	-	5.06	%	3.45		%	-	4.97	%
Weighted average discount rate	4.00%						3.84%

First lien U.S. RMBS weighted average future recovery for deferred principal balances	50.0%						50.0%
Second lien U.S. RMBS weighted average future recoveries on charged-off loans	60.0%						60.0%